Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0059
Annualized Std Dev 0.0503
Annualized Sharpe (Rf=0%) 0.1172

Row

Daily Return Statistics

Close
Observations 4399.0000
NAs 1.0000
Minimum -0.0684
Quartile 1 -0.0014
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0015
Maximum 0.0387
SE Mean 0.0000
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0032
Skewness -2.6115
Kurtosis 71.0336

Downside Risk

Close
Semi Deviation 0.0024
Gain Deviation 0.0022
Loss Deviation 0.0028
Downside Deviation (MAR=210%) 0.0089
Downside Deviation (Rf=0%) 0.0024
Downside Deviation (0%) 0.0024
Maximum Drawdown 0.1538
Historical VaR (95%) -0.0042
Historical ES (95%) -0.0069
Modified VaR (95%) -0.0026
Modified ES (95%) -0.0026
From Trough To Depth Length To Trough Recovery
2004-03-25 2008-10-10 2009-01-05 -0.1538 1204 1146 58
2020-03-09 2020-03-18 2020-06-15 -0.0958 69 8 61
2016-07-11 2018-11-08 2019-08-15 -0.0816 781 590 191
2012-07-26 2013-09-05 2016-07-05 -0.0693 991 279 712
2020-08-05 2021-03-18 NA -0.0519 158 156 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA 0 -0.2 -0.5 -0.1 -0.9
2004 0.2 -0.2 -0.2 0 -0.4 -0.2 0.7 0 -0.5 -0.5 -0.7 -0.2 -1.9
2005 -0.2 -0.4 0.2 -0.2 0.4 -0.7 -0.4 -0.2 0 -0.3 -0.5 0.1 -2.1
2006 -0.6 -0.4 0.3 -0.8 -0.5 0 -0.2 -0.4 0 -0.2 -0.2 0 -2.9
2007 -0.3 -0.4 -0.1 -0.4 -0.5 0.2 -0.7 0.1 -0.7 -0.2 0.2 0 -2.9
2008 -0.5 0.4 -1.1 -0.5 0.4 -0.7 -0.5 0 -1.1 -0.3 1 0.1 -2.9
2009 0.6 0 -0.4 -0.7 -1.5 -0.4 0.5 -0.5 -0.1 0.4 -0.6 -0.1 -2.8
2010 -0.4 -0.2 -0.3 0.4 -0.1 -0.3 0.2 -0.5 -0.4 -0.3 -1 0.4 -2.6
2011 -0.5 -0.4 -0.2 0.1 0.1 -0.3 0 0.1 0.4 0.2 -0.5 -0.1 -1
2012 -0.4 -0.5 -0.2 -0.2 0 -0.1 -0.3 0.3 -0.2 -0.3 -0.1 -0.2 -2.2
2013 -0.4 -0.2 -0.1 -0.1 -0.2 0 -0.8 -0.2 -0.3 -0.4 0 -0.1 -2.7
2014 0.2 -0.1 -0.3 0 0.1 -0.3 0.2 0 0.4 0 -0.5 0 -0.4
2015 0.4 0.3 0.1 -0.5 -0.5 -0.5 0.4 0.1 -0.1 0.3 0 0.3 0.3
2016 -0.3 -0.5 -0.3 0 -0.3 0 -0.4 -0.1 -0.1 -0.2 -0.5 0.2 -2.5
2017 -0.3 -0.7 0.1 -0.5 -0.3 -0.1 0.1 -0.4 -0.1 -0.2 0.1 0.1 -2.2
2018 -0.5 -0.1 0.3 -0.3 -0.4 0.1 -0.3 0 -0.3 -0.2 0 0.3 -1.6
2019 -0.5 -0.4 -0.7 -0.2 0.5 -0.2 0.5 0.1 0 -0.2 -0.1 -0.2 -1.4
2020 0.3 0.7 -0.6 -0.2 -0.2 -0.1 0 0 0 -0.3 -0.5 0.1 -0.7
2021 -0.1 -0.2 0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-09-26  102. SPY    100. -0.0033 -0.0359   -0.0019   0.0234    0.166   -0.310       NA <NA>     NA    NA       NA
2 2003-09-29  102. SPY    101.  0.0098 -0.0158    0.0017   0.0338    0.220   -0.305       NA <NA>     NA    NA       NA
3 2003-09-30  103. SPY    100. -0.0097 -0.029    -0.0147   0.0144    0.222   -0.312       NA <NA>     NA    NA       NA
4 2003-10-01  103. SPY    102.  0.0213  0.00960  -0.007    0.0232    0.191   -0.292       NA <NA>     NA    NA       NA
5 2003-10-02  102. SPY    102.  0.0036  0.0216   -0.0088   0.0376    0.232   -0.281       NA <NA>     NA    NA       NA
6 2003-10-03  102. SPY    103.  0.0092  0.0344   -0.0002   0.0267    0.256   -0.278       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart